Momentum predictability in the frequency domain

Detalhes bibliográficos
Autor(a) principal: Caeiro, Francisco Miguel Vilamoura de Azeredo
Data de Publicação: 2018
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.14/29408
Resumo: In this dissertation I extend the analysis of Wang and Xu (2015) of momentum returns predictability to the frequency domain. The extensive literature on momentum has been essentially focused on what causes momentum, the description of momentum across industry sectors and countries and on its risk management. The very few works that addressed the topic of predictability of momentum returns, studied the role of investors psychological biases, market volatility and market liquidity but none of them exploited the frequency domain analysis of the predictors that have been used. I provide evidence that replacing the original predictors used in Wang and Xu (2015) by their frequency components delivers improved predictability.
id RCAP_dce94359d131f353398fe613cb65d778
oai_identifier_str oai:repositorio.ucp.pt:10400.14/29408
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Momentum predictability in the frequency domainMomentum predictabilityFrequency domainWaveletsDomínio/Área Científica::Ciências Sociais::Economia e GestãoIn this dissertation I extend the analysis of Wang and Xu (2015) of momentum returns predictability to the frequency domain. The extensive literature on momentum has been essentially focused on what causes momentum, the description of momentum across industry sectors and countries and on its risk management. The very few works that addressed the topic of predictability of momentum returns, studied the role of investors psychological biases, market volatility and market liquidity but none of them exploited the frequency domain analysis of the predictors that have been used. I provide evidence that replacing the original predictors used in Wang and Xu (2015) by their frequency components delivers improved predictability.Faria, Gonçalo Manuel A. Pereira Oliveira deVeritati - Repositório Institucional da Universidade Católica PortuguesaCaeiro, Francisco Miguel Vilamoura de Azeredo2020-01-31T11:18:39Z2018-06-2720182018-06-27T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/29408TID:202101398enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:34:57Zoai:repositorio.ucp.pt:10400.14/29408Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:23:36.898992Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Momentum predictability in the frequency domain
title Momentum predictability in the frequency domain
spellingShingle Momentum predictability in the frequency domain
Caeiro, Francisco Miguel Vilamoura de Azeredo
Momentum predictability
Frequency domain
Wavelets
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Momentum predictability in the frequency domain
title_full Momentum predictability in the frequency domain
title_fullStr Momentum predictability in the frequency domain
title_full_unstemmed Momentum predictability in the frequency domain
title_sort Momentum predictability in the frequency domain
author Caeiro, Francisco Miguel Vilamoura de Azeredo
author_facet Caeiro, Francisco Miguel Vilamoura de Azeredo
author_role author
dc.contributor.none.fl_str_mv Faria, Gonçalo Manuel A. Pereira Oliveira de
Veritati - Repositório Institucional da Universidade Católica Portuguesa
dc.contributor.author.fl_str_mv Caeiro, Francisco Miguel Vilamoura de Azeredo
dc.subject.por.fl_str_mv Momentum predictability
Frequency domain
Wavelets
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Momentum predictability
Frequency domain
Wavelets
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description In this dissertation I extend the analysis of Wang and Xu (2015) of momentum returns predictability to the frequency domain. The extensive literature on momentum has been essentially focused on what causes momentum, the description of momentum across industry sectors and countries and on its risk management. The very few works that addressed the topic of predictability of momentum returns, studied the role of investors psychological biases, market volatility and market liquidity but none of them exploited the frequency domain analysis of the predictors that have been used. I provide evidence that replacing the original predictors used in Wang and Xu (2015) by their frequency components delivers improved predictability.
publishDate 2018
dc.date.none.fl_str_mv 2018-06-27
2018
2018-06-27T00:00:00Z
2020-01-31T11:18:39Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.14/29408
TID:202101398
url http://hdl.handle.net/10400.14/29408
identifier_str_mv TID:202101398
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799131944736260096

Registros relacionados